We present a comprehensive analysis of the whole sample of available XMM-Newton observations of High Mass X-ray Binaries ( HMXBs ) until August , 2013 , focusing on the FeK \alpha emission line . This line is a key tool to better understand the physical properties of the material surrounding the X-ray source within a few stellar radii ( the circumstellar medium ) . We have collected observations from 46 HMXBs , detecting FeK \alpha in 21 of them . We have used the standard classification of HMXBs to divide the sample in different groups . We find that : ( 1 ) different classes of HMXBs display different qualitative behaviour in the FeK \alpha spectral region . This is specially visible in SGXBs ( showing ubiquitous Fe fluorescence but not recombination Fe lines ) , and \gamma Cass analogs ( showing both fluorescent and recombination Fe lines ) . ( 2 ) FeK \alpha is centred at a mean value of 6.42 keV . Considering the instrumental and fits uncertainties , this value is compatible with ionization states lower than Fe xviii . ( 3 ) The flux of the continuum is well correlated with the flux of the line , as expected . Eclipse observations show that the Fe fluorescence emission comes from an extended region surrounding the X-ray source . ( 4 ) We observe an inverse correlation between the X-ray luminosity and the equivalent width of FeK \alpha ( EW ) . This phenomenon is known as X-rays Baldwin effect . ( 5 ) FeK \alpha is narrow ( \sigma _ { line } < 0.15 keV ) , reflecting that the reprocessing material does not move at high speeds . We attempt to explain the broadness of the line in terms of three possible broadening phenomena : line blending , Compton scattering and Doppler shifts ( with velocities of the reprocessing material V \sim 1000 km/s ) . ( 6 ) The equivalent hydrogen column ( N _ { H } ) directly correlates with the EW of FeK \alpha , displaying clear similarities to numerical simulations . It highlights the strong link between the absorbing and the fluorescent matter . ( 7 ) The observed N _ { H } in Supergiant X-ray Binaries ( SGXBs ) is in general higher than in Supergiant Fast X-ray Transients ( SFXTs ) . We suggest two possible explanations : different orbital configurations , or a different interaction compact object - wind . ( 8 ) Finally , we analysed in more detail the sources IGR J16320-4751 and 4U 1700-37 , covering several orbital phases . The observed variation of N _ { H } between phases is compatible with the absorption produced by the wind of their optical companions . The obtained results clearly point to a very important contribution of the donor ’ s wind in the FeK \alpha emission and the absorption when the donor is a supergiant massive star .